Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3901
Annualized Std Dev 0.6072
Annualized Sharpe (Rf=0%) -0.6424

Row

Daily Return Statistics

Close
Observations 3093.0000
NAs 1.0000
Minimum -0.1870
Quartile 1 -0.0193
Median -0.0015
Arithmetic Mean -0.0012
Geometric Mean -0.0020
Quartile 3 0.0161
Maximum 0.2931
SE Mean 0.0007
LCL Mean (0.95) -0.0026
UCL Mean (0.95) 0.0001
Variance 0.0015
Stdev 0.0383
Skewness 0.5874
Kurtosis 5.9734

Downside Risk

Close
Semi Deviation 0.0260
Gain Deviation 0.0299
Loss Deviation 0.0258
Downside Deviation (MAR=210%) 0.0313
Downside Deviation (Rf=0%) 0.0267
Downside Deviation (0%) 0.0267
Maximum Drawdown 0.9981
Historical VaR (95%) -0.0597
Historical ES (95%) -0.0872
Modified VaR (95%) -0.0529
Modified ES (95%) -0.0529
From Trough To Depth Length To Trough Recovery
2008-12-08 2021-02-01 NA -0.9981 3092 3058 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA -9.4 -9.4
2009 -5.5 0.8 -1 -2.2 1.4 -2.6 -7 -1.3 4.1 3.8 -6.6 0.2 -15.3
2010 -5.9 0.2 -4.9 -1.7 -0.2 8.7 -4.1 -0.4 -3 0.5 -3.2 -2.7 -16.1
2011 -3.8 -4.9 -0.6 1.6 10.3 4.8 2.9 -0.3 7 6.4 0.3 0.4 25.4
2012 -2.9 -5.2 -0.4 0.4 -5.6 -7.6 4.2 -9.1 -1.3 0.2 4.7 -1.9 -22.7
2013 -2.5 -0.9 2.5 5.3 4.8 0.7 1.7 3.5 4.5 0.2 -3 1.6 19.6
2014 0.2 1.3 -0.3 1.1 2.7 0.4 0.5 0.9 -1.4 3.8 -12.1 7.5 3.5
2015 -3.9 -0.7 -4.1 -0.9 -0.3 2.1 0.2 1.3 -0.4 0.8 -1 0.4 -6.5
2016 -1.8 0.3 4.3 -2.5 0.1 -10.2 -0.8 -2.6 -1.1 -5.2 -0.5 2.8 -16.7
2017 0.2 -0.7 -1 3.8 0.1 -0.1 1.8 -1 2.2 -4.9 0 -1.2 -1
2018 1.1 -1.4 -0.9 2.1 0.3 -1.2 1.6 0.6 1.9 -6.3 1.9 -1.4 -1.9
2019 1.6 6.3 0.4 4.1 -0.8 2.3 -1.4 -0.8 -2.9 -0.1 -0.9 0.7 8.4
2020 -1.7 11.7 1.3 0.6 -4.2 2.4 -8.5 0.6 -4.7 -2.4 -12.6 1.5 -16.7
2021 -15.9 -0.2 -1.9 NA NA NA NA NA NA NA NA NA -17.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart